Best way to make smooth UV sphere with hole through it
I can think of three ways to make this shape, not using a boolean.
Using a UV sphere (this is the best way), scaling a torus, or modeling it from a cylinder.
I'm not going to show the cylinder, because the other two methods are better, and after seeing them you will already know all the techniques used to model it off of the cylinder.
I'll start with the UV sphere.
With a default UV sphere, Tab into edit mode. Select both the top and bottom vertices at the polls of the sphere. Press CtrlNumPad + once, to enlarge the selection. Delete those selected vertices X &gt; Vertices.
Select the inner edge loop on both the top and bottom, AltRMB to select an edge loop.

Now with that selected bridge the edge loops. W &gt; Bridge Edge Loops.
Add one to the Number of Cuts while the bridge edge loops operator is still active.
Select the only edge loop in the middle of the new bridged part, and press CtrlB to bevel it. Move the edges until they are closer to the corner (this will make the subdivision surface look better).
A gif of all that:


Scaling a Torus
Add a torus, and change the Minor Radius so that the &quot;hole&quot; is smaller.
Now what I like to do is add a sphere in the same spot as the torus, it will only act as a guide.

With the whole torus selected, scale it to make it fatter (with the default rotation that would be along the Z axis).
Now select the bottom and top edge loops, and scale them along the Z until they about line up with the sphere guide in the background, this makes it look more round and less torus like.
Do the same for the first pare of edge loops on the inside of the &quot;hole&quot;. At this point it looks like a sphere with a hole, not a torus.
Only thing left to do is straighten the inside of the hole. I did this by dissolving the middle three edge loops into one, then just scaling it to the same size as the top and bottom.
Again an nice gif of the above process: